Parameter (Wealth-Lab Framework)

The Parameter class represents a configurable parameter, and it most often used in C# Coded Strategies and custom indicators (derived from IndicatorBase). Each Parameter instance has a Name, a Type (see ParameterTypes in the Enums reference) and a default Value.

In C# Coded Strategies, Parameters are used to optimize a Strategy. In these cases, the Parameter instances have their MinValue, MaxValue and StepValue properties defined to specify the optimization range.

In custom indicator development, the Parameters are used when an indicator is drag and dropped onto a chart or in a Building Block Strategy. The user can change the value of the Parameter using the user interface in WealthLab or on the web site.

using WealthLab.Backtest;
using WealthLab.Core;
using System.Drawing;

namespace WealthScript1
{
	public class MyStrategy : UserStrategyBase
	{
		public MyStrategy()
		{
			Parameter p = AddParameter("Explicit", ParameterType.Int32, 10, 10, 10000, 10);
			p.AssignExplicitValues(10, 20, 50, 100, 200);
		}

		//Initialize
		public override void Initialize(BarHistory bars)
		{
			Parameter p = Parameters[0];
			DrawHeaderText(p.ValuesDescription, WLColor.Black, 12);
		}

		//Execute
		public override void Execute(BarHistory bars, int idx)
		{
		}
	}
}

using WealthLab.Backtest;
using WealthLab.Core;
using System.Drawing;

namespace WealthScript1
{
	public class MyStrategy : UserStrategyBase
	{
		public MyStrategy()
		{
			Parameter p = AddParameter("Fibonacci", ParameterType.Int32, 10, 10, 10000, 10);
			p.AssignFibonacciValues();
		}

		//Initialize
		public override void Initialize(BarHistory bars)
		{
			Parameter p = Parameters[0];
			DrawHeaderText(p.ValuesDescription, WLColor.Black, 12);
		}

		//Execute
		public override void Execute(BarHistory bars, int idx)
		{
		}
	}
}

using WealthLab.Backtest;
using WealthLab.Core;
using System.Drawing;

namespace WealthScript1
{
	public class MyStrategy : UserStrategyBase
	{
		public MyStrategy()
		{
			Parameter p = AddParameter("Percentage", ParameterType.Int32, 10, 10, 1000, 10);
			p.AssignPercentageValues(20);
		}

		//Initialize
		public override void Initialize(BarHistory bars)
		{
			Parameter p = Parameters[0];
			DrawHeaderText(p.ValuesDescription, WLColor.Black, 12);
		}

		//Execute
		public override void Execute(BarHistory bars, int idx)
		{
		}
	}
}

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using WealthLab.AdvancedSmoothers;
using System.Drawing;
using System.Collections.Generic;

namespace WealthScript4
{
	public class HintExample : UserStrategyBase
	{
		public HintExample()
		{
			Parameter p = AddParameter("Number of swings", ParameterType.Int32, 6, 1, 20, 1);
			p.Hint = "The swings parameter in the AdaptiveLookback indicator";
			p = AddParameter("Drop %", ParameterType.Double, 0.95, 0.92, 0.99, 0.01);
			p.Hint = "Percent drop below adaptiveMAL to buy";
		}

		//create indicators and other objects here, this is executed prior to the main trading loop
		public override void Initialize(BarHistory bars)
		{
			swings = Parameters[0].AsInt;
			drop = Parameters[1].AsDouble;

			//create an instance of the AdaptiveLookback indicator class
			AdaptiveLookback ap = AdaptiveLookback.Series(bars, swings, false, false, false);
			adaptiveADX = new TimeSeries(bars.DateTimes, 0);
			adaptiveMAH = new TimeSeries(bars.DateTimes, 0);
			adaptiveMAL = new TimeSeries(bars.DateTimes, 0);

			//fill the adaptive series
			for (int bar = 0; bar < bars.Count; bar++)
			{
				adaptiveMAH[bar] = FastSMA.Value(bar, bars.High, Math.Max(1, (int)ap[bar]));
				adaptiveMAL[bar] = FastSMA.Value(bar, bars.Low, Math.Max(1, (int)ap[bar]));
				adaptiveADX[bar] = ADX.Series(bars, Math.Max(1, (int)ap[bar]))[bar];
			}

			PlotTimeSeries(ap, "Adaptive Lookback", "ap", WLColor.Purple, PlotStyle.ThickLine);
			PlotTimeSeries(adaptiveADX, "Adaptive ADX", "adx", WLColor.Blue, PlotStyle.ThickLine);
			PlotTimeSeries(adaptiveMAH, "Upper Adaptive Band", "Price", WLColor.Red, PlotStyle.Line);
			PlotTimeSeries(adaptiveMAL, "Lower Adaptive Band", "Price", WLColor.Blue, PlotStyle.Line);

			StartIndex = 1;
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		public override void Execute(BarHistory bars, int idx)
		{
			var Close = bars.Close;
			var bar = idx;

			if (!HasOpenPosition(bars, PositionType.Long))
			{
				//Adaptive ADX is declining and in consolidation mode
				if (adaptiveADX[bar] <= adaptiveADX[bar - 1] && adaptiveADX[bar] <= 25)
					if (Close[bar] <= adaptiveMAL[bar] * drop)
						PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, "Oversold").Weight = -Close[bar];
			}
			else
			{
				Position p = LastPosition;
				double stop = 0.8;

				if (Close[bar] > adaptiveMAH[bar])
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market, 0, "Overbought");
				else
					ClosePosition(p, OrderType.Stop, p.EntryPrice * stop, "Stop Loss -20%");
			}
		}

		int swings;
		double drop;
		TimeSeries adaptiveMAH, adaptiveMAL, adaptiveADX;
	}
}

using WealthLab.Backtest;
using WealthLab.Core;

namespace WealthScript1
{
	public class MyStrategy : UserStrategyBase
	{
		public MyStrategy()
		{
			Parameter p = AddParameter("Param1", ParameterType.Int32, 20, 5, 100, 5);
		}

		//Initialize
		public override void Initialize(BarHistory bars)
		{
			Parameter p = Parameters[0];
			DrawHeaderText("Parameter Permutations: " + p.Permutations);
			string sVal = "";
			foreach (double val in p.Values)
				sVal += val + ",";
			DrawHeaderText("Parameter Values: " + sVal);
		}

		//Execute
		public override void Execute(BarHistory bars, int idx)
		{
		}
	}
}